R HIGHLY NEGOTIABLE PLUS ANNUAL PERFORMANCE BONUS to attract and entice
Our client is a proprietary investment business and an alternatives investment manager. Through its capital market activities, the company delivers above-average, risk-adjusted returns for a predetermined level of risk to shareholders.
They now seek a quantitative credit risk analyst to join their economic capital team. Prior person has moved internally in the same group. Excellent succession planning in this business.
This role is suitable for appropriately qualified affirmative action candidates.
JOB DESCRIPTION WILL INCLUDE BUT NOT BE LIMITED TO:
- You will be required to be part of the required to determine the economic capital and credit related solvency assessment and management (CAP) requirements for the listed group and related shareholder portfolios, including the company, where the team plays a significant role as a key strategic business partner. The focus is on credit cap modelling and analysis, process oversight and the development of scoring and valuation methodologies. The team is also responsible for calculating the economic capital requirements for all the other risk types in the company’s proprietary portfolio and to combine this as a total diversified economic capital requirement. The interaction with all facets of the company’s business and the capital team is imperative in order to ensure accuracy of inputs and uses of the cap model outputs;
- Model development and enhancement:
- You will be required to keep abreast of industry best practice standards for credit portfolio risk measurement;
- You will be responsible for enhancement, maintenance and validation of quantitative credit methodologies, including PD, LGD, correlation and valuation models in line with group standards and regulatory requirements;
- You will be responsible for enhancement of the stress and scenario testing framework;
- Deal analysis and risk adjusted performance measurement:
- You will be responsible for assessment of the return on economic and regulatory capital to assist debt origination and trading and structuring teams in evaluating new transactions;
- You will be responsible for evaluating the impact of new transactions on the shareholder industry concentration limits;
- You will be responsible for advising the business on the credit capital and risk impact of new products and balance sheet strategies;
- You will be required to assist in incorporation of risk adjusted return concepts in performance measurement and product design and pricing;
- Reporting and results production:
- You will be responsible for ownership and responsibility for the production of credit economic capital results for the group’s shareholder portfolios;
- You will be required to perform and own the analyses required to meaningfully report credit capital results to various stakeholders.
CORE COMPETENCIES REQUIRED, BUT NOT LIMITED TO:
- You are a professional individual, motivated with high energy levels and the ability to show initiative and think creatively;
- You have solid analytical and mathematical skills coupled with a keen eye for detail;
- You are able to demonstrate the ability to cope under pressure, be focused, organized and deadline driven;
- You are able to work both independently and as part of a team;
- You have sound stakeholder management and communication;
- You have excellent communication (verbal and written) skills in English and presentation skills;
- You are able to take initiative and work under own discretion with the ability to make quick, clear choices which may include tough choices or considered risks;
- You have a strong understanding and appreciation of statistical concepts / distributions / limitations of statistical models.
CORE QUALIFICATIONS AND EXPERIENCE:
- You have a M.Sc. or B.Sc.hons majoring in a quantitative field such as risk management, mathematics, statistics or a related discipline;
- You have a minimum of 5 years current, relevant experience with a financial institution servicing institutional clients;
- You have current, relevant experience with economic and regulatory capital (Basel, SAM) calculations;
- You have knowledge of credit risk measurement methodologies for wholesale credit, including large corporates, specialised lending including project finance and share cover transactions, financial institutions and SOEs;
- You have current, relevant experience with Moody’s Analytics RiskFrontier required and working knowledge of other Moody’s applications – this would be a distinct advantage;
- Programming skills an advantage;
You are smart, focussed and passionate about investments as it pertains to debt origination and the E cap space. You know it – and can add value from day one. Why would you want to join this team – because they are very good at what they do – have superb leadership and are always busy and challenged. A type personalities work here but are not self-centred – so have the ability to work as a cohesive team and get great outcomes for the business and one another and themselves. Team to be encouraged to join!